Not everyone reacts the same to binaurals. The frequencies that work great for one person may not affect another person. This makes the science difficult. It's easy to hear that something is happening, it is just unclear how that something actually influences the brain.
More in depth explanation: http://en.wikipedia.org/wiki/Binaural_beats
(gpl/free) http://sbagen.sf.net is more complicated than most but can be used to create quite complex layering and sequences. I currently use it for an all night idealized sleep pattern.
(shareware) http://www.bwgen.com/ is a windoze program that has many features but cannot be used all night like SBAGen (at least at last check).